457 Deferred Compensation Plan

Transcription

1 457 Deferred Compensation Plan Third Quarter Plan Executive Summary October 31, Kristin Finney-Cooke, CAIA Senior Consultant Kristen Jackson, CFA Senior Analyst

2 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Executive Summary PLAN ASSETS: $36.3 MILLION NUMBER OF ACTIVE PARTICIPANTS: 662 BONDS CAPITAL MARKETS PERFORMANCE: QUARTER DOMESTIC EQUITY FOREIGN EQUITY TARGET DATE 2040 TARGET DATE 3 Month Change: Up $1.6 Million 5% 1.6% 6.4% 7.4% 3.3% 5.1% BarCap Agg Index S&P 500 Index MSCI ACWI ex US Index S&P TDF Index S&P TDF 2040 Index 13% Target Date Funds PLAN PERFORMANCE: QUARTER Lifestyle Options RANGE OF CORE FUND RETURNS RANGE OF TARGET DATE FUND RETURNS ASSET WEIGHTED PLAN RETURN 82% Core Options % to 7.0% 3.1% to 6.0% 4.5% Vanguard Prime Money Market Vanguard Int l Growth Income Performance Stocks registered solid gains for the quarter and began to approach multi-year highs, particularly in the U.S. All Plan investment offerings have positive returns for the quarter and year-to-date periods. Additional Items No additional items. QUARTERLY UPDATES Recent Actions RECENT ACTIONS/RECOMMENDATIONS The 2055 Target Date Fund was added to the Plan line-up in Q2 Watch Status No Plan funds are currently on NEPC s Watch status Recommendations NEPC is not recommending any actions at this time either in view of the recent quarter s developments or any of the longerterm trending data in this report As of September 30, 1

3 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Due Diligence Monitor The items below summarize any changes or announcements from your Plan managers/funds. A Yes indicates there was an announcement and a summary is provided separately. NEPC s Due Diligence Committee meets every two weeks to review events as they relate to investment managers and determines if any action should be taken by NEPC and/or by our clients. They rate events: No Action, Watch, Hold, Client Review or Terminate. NEPC considers ourselves to be a fiduciary, as ERISA defines the term in Section 3(21). Plan Manager/Fund A legend key to our recommendations is provided below. Manager Changes/ Announcements (Recent Quarter) NEPC Due Diligence Committee Recommendations Vanguard Target Retirement Funds - - Vanguard LifeStrategy Funds - - Vanguard Prime Money Market - - Vanguard Retirement Savings Trust - - Vanguard Total Bond Market Index - - Vanguard Balanced Index - - Vanguard Windsor II - - Vanguard 500 Index - - Vanguard U.S. Growth - - NEPC Due Diligence Committee Recommendation Key No Action Watch Hold Client Review Terminate Informational items have surfaced; no action is recommended. Issues have surfaced to be concerned over; manager can participate in future searches, but current and prospective clients must be made aware of the issues. Serious issues have surfaced to be concerned over; manager cannot be in future searches unless a client specifically requests, but current and prospective clients must be made aware of the issues. Very serious issues have surfaced with a manager; manager cannot be in future searches unless a client specifically requests. Current clients must be advised to review the manager. We have lost all confidence in the product; manager would not be recommended for searches and clients would be discouraged from using. The manager cannot be in future searches unless a client specifically requests. Current clients must be advised to replace the manager. As of September 30, 2

4 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Due Diligence Monitor The items below summarize any changes or announcements from your Plan managers/funds. A Yes indicates there was an announcement and a summary is provided separately. NEPC s Due Diligence Committee meets every two weeks to review events as they relate to investment managers and determines if any action should be taken by NEPC and/or by our clients. They rate events: No Action, Watch, Hold, Client Review or Terminate. NEPC considers ourselves to be a fiduciary, as ERISA defines the term in Section 3(21). Plan Manager/Fund Manager Changes/ Announcements (Recent Quarter) NEPC Due Diligence Committee Recommendations Vanguard Mid Cap Index - - Vanguard Small Cap Index - - Vanguard International Growth - - A legend key to our recommendations is provided below. NEPC Due Diligence Committee Recommendation Key No Action Watch Hold Client Review Terminate Informational items have surfaced; no action is recommended. Issues have surfaced to be concerned over; manager can participate in future searches, but current and prospective clients must be made aware of the issues. Serious issues have surfaced to be concerned over; manager cannot be in future searches unless a client specifically requests, but current and prospective clients must be made aware of the issues. Very serious issues have surfaced with a manager; manager cannot be in future searches unless a client specifically requests. Current clients must be advised to review the manager. We have lost all confidence in the product; manager would not be recommended for searches and clients would be discouraged from using. The manager cannot be in future searches unless a client specifically requests. Current clients must be advised to replace the manager. As of September 30, 3

5 Market Environment 4

6 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Investment Market Update: As of September 30, Qtr. Ytd 1 Yr. 3 Yr. 5 Yr. 10 Yr. World Equity Benchmarks MSCI World World 6.7% 13.0% 21.6% 7.5% -2.1% 8.0% Qtr. Ytd 1 Yr. 3 Yr. 5 Yr. 10 Yr. Domestic Equity Benchmarks S&P 500 Large Core 6.4% 16.4% 30.2% 13.2% 1.1% 8.0% Russell 2000 Small Core 5.3% 14.2% 31.9% 13.0% 2.2% 10.2% Russell 2000 Growth Small Growth 4.8% 14.1% 31.2% 14.2% 3.0% 10.5% Russell 2000 Value Small Value 5.7% 14.4% 32.6% 11.7% 1.3% 9.7% Russell 1000 Large Core 6.3% 16.3% 30.1% 13.3% 1.2% 8.4% Russell 1000 Growth Large Growth 6.1% 16.8% 29.2% 14.7% 3.2% 8.4% Russell 1000 Value Large Value 6.5% 15.7% 30.9% 11.8% -0.9% 8.2% S&P Mid Cap 400 Mid Core 5.4% 13.8% 28.5% 14.3% 3.8% 10.8% NAREIT Composite REIT 1.8% 17.3% 33.8% 20.3% 2.3% 10.7% Qtr. Ytd 1 Yr. 3 Yr. 5 Yr. 10 Yr. International Equity Benchmarks MSCI EAFE International Developed 6.9% 10.1% 13.8% 2.1% -5.2% 8.2% MSCI EM Emerging Equity 7.7% 12.0% 16.9% 5.6% -1.3% 17.0% S&P EPAC SmallCap Small Cap Int'l 7.9% 13.6% 13.9% 4.8% -3.5% 11.7% MSCI ACWI ex-us World ex-us 7.4% 10.4% 14.5% 3.2% -4.1% 9.8% Qtr. Ytd 1 Yr. 3 Yr. 5 Yr. 10 Yr. Domestic Fixed Income Benchmarks Barclays Aggregate Core Bonds 1.6% 4.0% 5.2% 6.2% 6.5% 5.3% Barclays 1-10 Yr Muni. Municipal Bond 1.4% 3.2% 5.1% 4.6% 5.4% 4.3% Barclays US High Yield High Yield 4.5% 12.1% 19.4% 12.9% 9.3% 1% Barclays US TIPS 1-10 Yr Inflation 1.7% 4.6% 6.3% 7.0% 6.6% 5.7% Barclays Interm. Gov/Credit Intermediate Gov/Cred 1.4% 3.5% 4.4% 5.2% 5.7% 4.8% Barclays Long Gov/Credit Long Gov/Credit 3.1% 8.3% 11.1% 12.5% 10.9% 8.1% Barclays Long Credit Long Credit 5.2% 11.3% 14.9% 12.7% 10.6% 8.6% Barclays US 20+ Yr Treas Long Treasuries 0.1% 4.3% 6.3% 12.2% 11.3% 7.9% BofA ML US 3-Month T-Bill Cash % 0.1% 0.1% 0.1% 0.7% 1.8% Barclays 20+ Yr STRIPS STRIPS -0.6% 4.7% 7.1% 16.9% 15.4% n/a Qtr. Ytd 1 Yr. 3 Yr. 5 Yr. 10 Yr. Global Fixed Income Benchmarks Citigroup WGBI World Gov. Bonds 3.0% 3.4% 3.3% 4.3% 6.5% 6.7% JPM GBI-EM Glob. Diversified Em. Mkt. Bonds (Local) 4.8% 12.1% 12.7% 9.4% 8.7% n/a Qtr. Ytd 1 Yr. 3 Yr. 5 Yr. 10 Yr. Diversified Benchmark Balanced Index* Balanced 4.6% 11.3% 2% 9.8% 2.4% 8.1% * 35% LC, 10% SC, 12% Int'l, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITS As of September 30, 5

7 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Economic Environment As of September 30, 6

8 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust U.S. Stock Market Performance As of September 30, 7

9 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Non-US Stock Performance As of September 30, 8

10 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Fixed Income Performance As of September 30, 9

11 Plan Reporting 10

12 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Asset Summary Periods Ending Beginning Year Beginning Quarter End Quarter 30-Sep-12 ($000) (%) ($000) (%) ($000) (%) Composite $32,460 $34,693 $36,307 Lifecycle Options $1,131 3% $1,719 5% $1,971 5% Vanguard Target Retirement Income Inv $105 0% $169 0% $179 0% Vanguard Target Retirement 2005 Inv $7 0% $0 0% $0 0% Vanguard Target Retirement Inv $246 1% $276 1% $272 1% Vanguard Target Retirement 2015 Inv $132 0% $87 0% $156 0% Vanguard Target Retirement 2020 Inv $113 0% $135 0% $184 1% Vanguard Target Retirement 2025 Inv $211 1% $604 2% $657 2% Vanguard Target Retirement 2030 Inv $110 0% $130 0% $143 0% Vanguard Target Retirement 2035 Inv $46 0% $61 0% $78 0% Vanguard Target Retirement 2040 Inv $96 0% $119 0% $136 0% Vanguard Target Retirement 2045 Inv $35 0% $102 0% $120 0% Vanguard Target Retirement 2050 Inv $30 0% $37 0% $44 0% Vanguard Target Retirement 2055 Inv $0 0% $0 0% $1 0% Lifestyle Options $4,024 12% $4,452 13% $4,601 13% Vanguard LifeStrategy Income Inv $403 1% $453 1% $461 1% Vanguard LifeStrategy Cnsrv Gr Inv $634 2% $716 2% $642 2% Vanguard LifeStrategy Moderate Gr Inv $1,890 6% $2,097 6% $2,239 6% Vanguard LifeStrategy Growth Inv $1,097 3% $1,186 3% $1,259 3% Core Options $27,305 84% $28,521 82% $29,736 82% Vanguard Prime Money Market Inv $1,004 3% $979 3% $907 2% Vanguard Retirement Savings Trust $3,571 11% $3,279 9% $3,435 9% Vanguard Total Bond Market Index Inv $2,992 9% $3,044 9% $2,998 8% Vanguard Balanced Index Inv $3,453 11% $3,498 10% $3,657 10% Vanguard Windsor II Inv $5,749 18% $6,186 18% $6,611 18% Vanguard 500 Index Inv $3,650 11% $4,108 12% $4,239 12% Vanguard US Growth Inv $2,329 7% $2,544 7% $2,717 7% Vanguard Mid Cap Index Inv $1,490 5% $1,637 5% $1,708 5% Vanguard Small Cap Index Inv $1,476 5% $1,607 5% $1,715 5% Vanguard International Growth Inv $1,591 5% $1,638 5% $1,749 5% 11 As of September 30,

13 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Performance Summary Target Date Funds Annualized s Weight in Fund Morningstar Universe Last Quarter Rank Last Year Rank Three Years Rank Five Years Rank Ten Years Rank Ending Market Value 100% Total Plan $36, % Target Date Funds $1, % Vanguard Target Retirement Income Inv US OE Retirement Income n/a $179 Vanguard Target Income Composite Index n/a 0.8% Vanguard Target Retirement Inv US OE Target Date n/a $272 Vanguard Target Composite Index n/a 0.4% Vanguard Target Retirement 2015 Inv US OE Target Date n/a $156 Vanguard Target 2015 Composite Index n/a 0.5% Vanguard Target Retirement 2020 Inv US OE Target Date n/a $184 Vanguard Target 2020 Composite Index n/a 1.8% Vanguard Target Retirement 2025 Inv US OE Target Date n/a $657 Vanguard Target 2025 Composite Index n/a 0.4% Vanguard Target Retirement 2030 Inv US OE Target Date n/a $143 Vanguard Target 2030 Composite Index n/a 0.2% Vanguard Target Retirement 2035 Inv US OE Target Date n/a $78 Vanguard Target 2035 Composite Index n/a 0.4% Vanguard Target Retirement 2040 Inv US OE Target Date n/a $136 Vanguard Target 2040 Composite Index n/a 0.3% Vanguard Target Retirement 2045 Inv US OE Target Date n/a $120 Vanguard Target 2045 Composite Index n/a 0.1% Vanguard Target Retirement 2050 Inv US OE Target Date n/a $44 Vanguard Target 2050 Composite Index n/a % Vanguard Target Retirement 2055 Inv US OE Target Date n/a n/a n/a $1 Vanguard Target 2055 Composite Index n/a n/a n/a Notes: Performance is net of fees and is annualized for periods longer than one year. Performance is ranked within Morningstar's style-specific universes, where "1" refers to the top percentile and "100" the bottom percentile. US OE = US open ended mutual fund. 12 As of September 30,

14 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Performance Summary Core Funds Annualized s Weight in Fund Morningstar Universe Last Quarter Rank Last Year Rank Three Years Rank Five Years Rank Ten Years Rank Ending Market Value 100% Total Plan $36, % Lifestyle Funds $4, % Vanguard LifeStrategy Income Inv US OE Conservative Allocation $461 Vanguard Income Benchmark % Vanguard LifeStrategy Cnsrv Gr Inv US OE Conservative Allocation $642 Vanguard Conservative Growth Benchmark % Vanguard LifeStrategy Moderate Gr Inv US OE Moderate Allocation $2,239 Vanguard Moderate Growth Benchmark % Vanguard LifeStrategy Growth Inv US OE Aggressive Allocation $1,259 Vanguard Moderate Growth Benchmark Notes: Performance is net of fees and is annualized for periods longer than one year. Performance is ranked within Morningstar's style-specific universes, where "1" refers to the top percentile and "100" the bottom percentile. US OE = US open ended mutual fund. 13 As of September 30,

15 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Performance Summary Core Funds Annualized s Weight in Fund Morningstar Universe Last Quarter Rank Last Year Rank Three Years Rank Five Years Rank Ten Years Rank Ending Market Value 100% Total Plan $36, % Capital Preservation Funds $4, % Vanguard Prime Money Market Inv US Money Market Taxable $907 BofAML US Treasury Bill 3 Mon % Vanguard Retirement Savings Trust Stable Value $3,435 RL 3yr GIC % Fixed Income Funds $2, % Vanguard Total Bond Market Index Inv US OE Intermediate-Term Bond $2,998 Barclays US Agg Bond TR USD % Balanced Funds $3, % Vanguard Balanced Index Inv US OE Moderate Allocation $3,657 60% S&P % BarCap Agg % Large Cap Equity Funds $13, % Vanguard Windsor II Inv US OE Large Value $6,611 Russell 1000 Value TR USD % Vanguard 500 Index Inv US OE Large Blend $4,239 S&P 500 TR % Vanguard US Growth Inv US OE Large Growth $2,717 Russell 1000 Growth TR USD % Small/Mid Cap Equity Funds $3, % Vanguard Mid Cap Index Inv US OE Mid-Cap Blend $1,708 MSCI US Mid Cap 450 GR USD % Vanguard Small Cap Index Inv US OE Small Blend $1,715 MSCI US Small Cap 1750 GR USD % International Equity Funds $1, % Vanguard International Growth Inv US OE Foreign Large Growth $1,749 MSCI ACWI Ex USA NR USD Notes: Performance is net of fees and is annualized for periods longer than one year. Performance is ranked within Morningstar's style-specific universes, where "1" refers to the top percentile and "100" the bottom percentile. US OE = US open ended mutual fund. 14 As of September 30,

16 Vanguard Target Retirement Income Inv VTINX Vanguard Target Income Composite Index US OE Retirement Income Top 10 Holdings Risk & Illustration (3 Years) Portfolio Date: 6/30/ Vanguard Total Bond Market II Idx Inv Vanguard Total Stock Mkt Idx Inv Vanguard Inflation-Protected Secs Inv Vanguard Total Intl Stock Index Inv Vanguard Prime Money Market Inv CMT Market Liquidity Rate Broad Category Qtr YTD Fixed Income Equity Fixed Income Equity Money Market 4.9 Portfolio Weighting % Time Period: 10/1/ to 9/30/ Vanguard Target Retirement Income Inv Vanguard Target Income Composite Index Rolling s (3 Years) Rolling Risk (3 Years) Vanguard Target Retirement Income Inv Vanguard Target Income Composite Index Vanguard Target Retirement Income Inv Vanguard Target Income Composite Index Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Target Retirement Income Inv Vanguard Target Income Composite Index As of 9/30/ 15

17 Vanguard Target Retirement 2015 Inv VTXVX Vanguard Target 2015 Composite Index US OE Target Date Top 10 Holdings Risk & Illustration (3 Years) Portfolio Date: 6/30/ Broad Category Qtr YTD Portfolio Weighting % Time Period: 10/1/ to 9/30/ Vanguard Target Retirement 2015 Inv Vanguard Target 2015 Composite Index Vanguard Total Stock Mkt Idx Inv Equity Vanguard Total Bond Market II Idx Inv Vanguard Total Intl Stock Index Inv Vanguard Inflation-Protected Secs Inv CMT Market Liquidity Rate Fixed Income Equity Fixed Income Rolling s (3 Years) Rolling Risk (3 Years) Vanguard Target Retirement 2015 Inv Vanguard Target 2015 Composite Index Vanguard Target Retirement 2015 Inv Vanguard Target 2015 Composite Index Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Target Retirement 2015 Inv Vanguard Target 2015 Composite Index As of 9/30/ 16

18 Vanguard Target Retirement 2025 Inv VTTVX Vanguard Target 2025 Composite Index US OE Target Date Top 10 Holdings Portfolio Date: 6/30/ Rolling s (3 Years) Broad Category Qtr YTD Vanguard Total Stock Mkt Idx Inv Equity Vanguard Total Bond Market II Idx Inv Fixed Income Vanguard Total Intl Stock Index Inv CMT Market Liquidity Rate Equity Portfolio Weighting % Risk & Illustration (3 Years) Time Period: 10/1/ to 9/30/ Rolling Risk (3 Years) Vanguard Target Retirement 2025 Inv Vanguard Target 2025 Composite Index Vanguard Target Retirement 2025 Inv Vanguard Target 2025 Composite Index Vanguard Target Retirement 2025 Inv Vanguard Target 2025 Composite Index Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Target Retirement 2025 Inv Vanguard Target 2025 Composite Index As of 9/30/ 17

19 Vanguard Target Retirement 2035 Inv VTTHX Vanguard Target 2035 Composite Index US OE Target Date Top 10 Holdings Portfolio Date: 6/30/ Rolling s (3 Years) Broad Category Qtr YTD Vanguard Total Stock Mkt Idx Inv Equity Vanguard Total Intl Stock Index Inv Equity Vanguard Total Bond Market II Idx Inv CMT Market Liquidity Rate Fixed Income Portfolio Weighting % Risk & Illustration (3 Years) Time Period: 10/1/ to 9/30/ Rolling Risk (3 Years) Vanguard Target Retirement 2035 Inv Vanguard Target 2035 Composite Index Vanguard Target Retirement 2035 Inv Vanguard Target 2035 Composite Index Vanguard Target Retirement 2035 Inv Vanguard Target 2035 Composite Index Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Target Retirement 2035 Inv Vanguard Target 2035 Composite Index As of 9/30/ 18

20 Vanguard Target Retirement 2045 Inv VTIVX Vanguard Target 2045 Composite Index US OE Target Date Top 10 Holdings Portfolio Date: 6/30/ Rolling s (3 Years) Broad Category Qtr YTD Vanguard Total Stock Mkt Idx Inv Equity Vanguard Total Intl Stock Index Inv Equity Vanguard Total Bond Market II Idx Inv CMT Market Liquidity Rate Fixed Income Portfolio Weighting % Risk & Illustration (3 Years) Time Period: 10/1/ to 9/30/ Rolling Risk (3 Years) Vanguard Target Retirement 2045 Inv Vanguard Target 2045 Composite Index Vanguard Target Retirement 2045 Inv Vanguard Target 2045 Composite Index Vanguard Target Retirement 2045 Inv Vanguard Target 2045 Composite Index Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Target Retirement 2045 Inv Vanguard Target 2045 Composite Index As of 9/30/ 19

21 Vanguard LifeStrategy Income Inv VASIX Vanguard Income Custom Benchmark US OE Conservative Allocation Asset Allocation Risk & Illustration (5 Years) Portfolio Date: 6/30/ % Stock 2 Bond 74.6 Cash 5.3 Other 0.1 Total 10 Time Period: 10/1/ to 9/30/ Vanguard LifeStrategy Income Inv Vanguard Income Custom Benchmark Rolling s (3 Years) Rolling Risk (3 Years) Vanguard LifeStrategy Income Inv Vanguard Income Custom Benchmark Vanguard LifeStrategy Income Inv Vanguard Income Custom Benchmark Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard LifeStrategy Income Inv Vanguard Income Custom Benchmark As of 9/30/ 20

22 Vanguard LifeStrategy Cnsrv Gr Inv VSCGX Vanguard Conservative Growth Custom Benchmark US OE Conservative Allocation Asset Allocation Risk & Illustration (5 Years) Portfolio Date: 6/30/ % Time Period: 10/1/ to 9/30/ 4.0 Vanguard LifeStrategy Cnsrv Gr Inv Vanguard Conservative Growth Custom Benchmark Stock Bond Cash 4.1 Other 0.2 Total Rolling s (3 Years) 22.5 Rolling Risk (3 Years) Vanguard LifeStrategy Cnsrv Gr Inv Vanguard Conservative Growth Custom Benchmark Vanguard LifeStrategy Cnsrv Gr Inv Vanguard Conservative Growth Custom Benchmark Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard LifeStrategy Cnsrv Gr Inv Vanguard Conservative Growth Custom Benchmark As of 9/30/ 21

23 Vanguard LifeStrategy Moderate Gr Inv VSMGX Vanguard Moderate Growth Custom Benchmark US OE Moderate Allocation Asset Allocation Risk & Illustration (5 Years) Portfolio Date: 6/30/ % Stock 59.7 Bond 37.2 Cash 2.9 Other 0.2 Total 10 Time Period: 10/1/ to 9/30/ Vanguard LifeStrategy Moderate Gr Inv Vanguard Moderate Growth Custom Benchmark Rolling s (3 Years) Rolling Risk (3 Years) Vanguard LifeStrategy Moderate Gr Inv Vanguard Moderate Growth Custom Benchmark Vanguard LifeStrategy Moderate Gr Inv Vanguard Moderate Growth Custom Benchmark Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard LifeStrategy Moderate Gr Inv Vanguard Moderate Growth Custom Benchmark As of 9/30/ 22

24 Vanguard LifeStrategy Growth Inv VASGX Vanguard Growth Custom Benchmark US OE Aggressive Allocation Asset Allocation Risk & Illustration (5 Years) Portfolio Date: 6/30/ % Time Period: 10/1/ to 9/30/ 0.4 Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark Stock Bond Cash 1.7 Other 0.3 Total Rolling s (3 Years) Rolling Risk (3 Years) Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark As of 9/30/ 23

25 Vanguard Prime Money Market Inv VMMXX BofAML US Treasury Bill 3 Mon US Money Market Taxable Asset Allocation Portfolio Date: 5/31/ % Stock Bond 3.7 Cash 89.3 Other 7.0 Total 10 Rolling s (3 Years) Vanguard Prime Money Market Inv BofAML US Treasury Bill 3 Mon Calendar Year s Vanguard Prime Money Market Inv 1.7 BofAML US Treasury Bill 3 Mon As of 9/30/ 24

26 Vanguard Total Bond Market Index Inv VBMFX BarCap US Agg Bond TR USD US OE Intermediate-Term Bond Asset Allocation Fixed Income Statistics Credit Quality Breakdown Portfolio Date: 6/30/ Portfolio Date: 6/30/ Portfolio Date: 6/30/ % Stock Bond 92.6 Cash 7.3 Other 0.1 Total 10 Morningstar Fixed Income Style Box Ltd Mod Ext High Med Low Fixed-Income Stats Average Eff Duration 5.1 Average Eff Maturity 7.2 Average Coupon 4.2 Average Price Average Credit Quality AA AAA % AA % A % BBB % BB % B % Below B % Not Rated % Yield to Maturity Fund Index Historical Sector Allocations (10 Years) Top Holdings 10 9 Detail Holding Type Portfolio Weighting % CMT Market Liquidity Rate US Treasury Note 0.625% US Treasury Bond 6.25% US Treasury Note 1.875% US Treasury Note 1% US Treasury Note 0.375% US Treasury Note 0.25% US Treasury Note 0.375% US Treasury Note 2.125% Fannie Mae Single Family TBA 3.5% MUTUAL FUND - MONEY MARKET 4.83 BOND - GOV'T/TREASURY 1.12 BOND - GOV'T/TREASURY 0.82 BOND - GOV'T/TREASURY 0.69 BOND - GOV'T/TREASURY 0.64 BOND - GOV'T/TREASURY 0.63 BOND - GOV'T/TREASURY 0.56 BOND - GOV'T/TREASURY 0.56 BOND - GOV'T/TREASURY 0.55 BOND - GOV'T AGENCY PASS-THRU Cash % US Govt Debt % Mortgage % US Credit % Non-US % As of 9/30/ 25

27 Vanguard Total Bond Market Index Inv VBMFX BarCap US Agg Bond TR USD US OE Intermediate-Term Bond Risk & Characteristics (5 Years) Risk & Illustration (5 Years) Time Period: 10/1/ to 9/30/ R2 Alpha Beta Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation Fund Index Time Period: 10/1/ to 9/30/ Vanguard Total Bond Market Index Inv BarCap US Agg Bond TR USD Rolling s (3 Years) Rolling Risk (3 Years) Vanguard Total Bond Market Index Inv BarCap US Agg Bond TR USD Vanguard Total Bond Market Index Inv BarCap US Agg Bond TR USD Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Total Bond Market Index Inv BarCap US Agg Bond TR USD As of 9/30/ 26

28 Vanguard Balanced Index Inv VBINX 60% S&P % BarCap Agg US OE Moderate Allocation Asset Allocation Risk & Illustration (5 Years) Portfolio Date: 6/30/ % Time Period: 10/1/ to 9/30/ 5.0 Vanguard Balanced Index Inv 60% S&P % BarCap Agg Stock Bond 38.2 Cash 2.7 Other 0.1 Total Rolling s (3 Years) 22.5 Rolling Risk (3 Years) Vanguard Balanced Index Inv 60% S&P % BarCap Agg Vanguard Balanced Index Inv 60% S&P % BarCap Agg Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Balanced Index Inv 60% S&P % BarCap Agg As of 9/30/ 27

29 Vanguard Windsor II Inv VWNFX Russell 1000 Value TR USD US OE Large Value Holdings Based Style Trail (5 Years) Portfolio Statistics Market Capitalization Breakdown Time Period: 10/31/ to 9/30/ Micro Small Mid Large Giant Deep-Val Core-Val Core Core-Grth High-Grth # of Holdings % Asset in Top 10 Holdings Turnover Ratio % P/E Ratio P/B Ratio LT Earn Growth Hist Earn Growth 12 Mo Yield Fund Index Portfolio Date: 6/30/ Market Cap Giant % Market Cap Large % Market Cap Mid % Market Cap Small % Market Cap Micro % Average Market Cap (mil) (Long) Fund ,039.5 Index ,473.7 Vanguard Windsor II Inv Russell 1000 Value TR USD Historical Sector Allocations (5 Years) / 12/ 6/ 12/ 6/ 12/ 6/ 12/ 6/ Energy % Materials % Industrials % Consumer Discretionary % Consumer Staples % Healthcare % Financials % Information Technology % Telecom Services % Utilities % Attribution (Quarter) Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Unclassified Attribution Total Cash Bond Missing Performance Total Portfolio Weights Benchmark Weights Portfolio Benchmark Allocation Effect Selection Effect Active As of 9/30/ 28

30 Vanguard Windsor II Inv VWNFX Russell 1000 Value TR USD US OE Large Value Risk & Characteristics (5 Years) Risk & Illustration (5 Years) Time Period: 10/1/ to 9/30/ R2 Alpha Beta Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation Fund Index Time Period: 10/1/ to 9/30/ Vanguard Windsor II Inv Russell 1000 Value TR USD Rolling s (3 Years) Rolling Risk (3 Years) Vanguard Windsor II Inv Russell 1000 Value TR USD Vanguard Windsor II Inv Russell 1000 Value TR USD Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Windsor II Inv Russell 1000 Value TR USD As of 9/30/ 29

31 Vanguard 500 Index Inv VFINX S&P 500 TR US OE Large Blend Risk & Characteristics (5 Years) Risk & Illustration (5 Years) Time Period: 10/1/ to 9/30/ R2 Alpha Beta Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation Fund Index Time Period: 10/1/ to 9/30/ Vanguard 500 Index Inv S&P 500 TR Rolling s (3 Years) Rolling Risk (3 Years) Vanguard 500 Index Inv S&P 500 TR Vanguard 500 Index Inv S&P 500 TR Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard 500 Index Inv S&P 500 TR As of 9/30/ 30

32 Vanguard US Growth Inv VWUSX Russell 1000 Growth TR USD US OE Large Growth Holdings Based Style Trail (5 Years) Portfolio Statistics Market Capitalization Breakdown Time Period: 10/31/ to 9/30/ Micro Small Mid Large Giant Deep-Val Core-Val Core Core-Grth High-Grth # of Holdings % Asset in Top 10 Holdings Turnover Ratio % P/E Ratio P/B Ratio LT Earn Growth Hist Earn Growth 12 Mo Yield Fund Index Portfolio Date: 6/30/ Market Cap Giant % Market Cap Large % Market Cap Mid % Market Cap Small % Market Cap Micro % Average Market Cap (mil) (Long) Fund ,091.8 Index ,356.4 Vanguard US Growth Inv Russell 1000 Growth TR USD Historical Sector Allocations (5 Years) / 12/ 6/ 12/ 6/ 12/ 6/ 12/ 6/ Energy % Materials % Industrials % Consumer Discretionary % Consumer Staples % Healthcare % Financials % Information Technology % Telecom Services % Utilities % Attribution (Quarter) Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Unclassified Attribution Total Cash Bond Missing Performance Total Portfolio Weights Benchmark Weights Portfolio Benchmark Allocation Effect Selection Effect Active As of 9/30/ 31

33 Vanguard US Growth Inv VWUSX Russell 1000 Growth TR USD US OE Large Growth Risk & Characteristics (5 Years) Risk & Illustration (5 Years) Time Period: 10/1/ to 9/30/ R2 Alpha Beta Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation Fund Index Time Period: 10/1/ to 9/30/ Vanguard US Growth Inv Russell 1000 Growth TR USD Rolling s (3 Years) Rolling Risk (3 Years) Vanguard US Growth Inv Russell 1000 Growth TR USD Vanguard US Growth Inv Russell 1000 Growth TR USD Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard US Growth Inv Russell 1000 Growth TR USD As of 9/30/ 32

34 Vanguard Mid Cap Index Inv VIMSX MSCI US Mid Cap 450 GR USD US OE Mid-Cap Blend Risk & Characteristics (5 Years) Risk & Illustration (5 Years) Time Period: 10/1/ to 9/30/ R2 Alpha Beta Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation Fund Index Time Period: 10/1/ to 9/30/ Vanguard Mid Cap Index Inv MSCI US Mid Cap 450 GR USD Rolling s (3 Years) Rolling Risk (3 Years) Vanguard Mid Cap Index Inv MSCI US Mid Cap 450 GR USD Vanguard Mid Cap Index Inv MSCI US Mid Cap 450 GR USD Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Mid Cap Index Inv MSCI US Mid Cap 450 GR USD As of 9/30/ 33

35 Vanguard Small Cap Index Inv NAESX MSCI US Small Cap 1750 GR USD US OE Small Blend Risk & Characteristics (5 Years) Risk & Illustration (5 Years) Time Period: 10/1/ to 9/30/ R2 Alpha Beta Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation Fund Index Time Period: 10/1/ to 9/30/ Vanguard Small Cap Index Inv MSCI US Small Cap 1750 GR USD Rolling s (3 Years) Rolling Risk (3 Years) Vanguard Small Cap Index Inv MSCI US Small Cap 1750 GR USD Vanguard Small Cap Index Inv MSCI US Small Cap 1750 GR USD Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard Small Cap Index Inv MSCI US Small Cap 1750 GR USD As of 9/30/ 34

36 Vanguard International Growth Inv VWIGX MSCI ACWI Ex USA NR USD US OE Foreign Large Growth Holdings Based Style Trail (5 Years) Portfolio Statistics Market Capitalization Breakdown Time Period: 10/31/ to 9/30/ Micro Small Mid Large Giant Deep-Val Core-Val Core Core-Grth High-Grth # of Holdings % Asset in Top 10 Holdings Turnover Ratio % P/E Ratio P/B Ratio LT Earn Growth Hist Earn Growth 12 Mo Yield Fund Index 1, Portfolio Date: 6/30/ Market Cap Giant % Market Cap Large % Market Cap Mid % Market Cap Small % Market Cap Micro % Average Market Cap Equity Region Developed % Equity Region Emerging % Fund , Index ,155.9 Vanguard International Growth Inv MSCI ACWI Ex USA NR USD Historical Country Allocations (5 Years) / 12/ 6/ 12/ 6/ 12/ 6/ 12/ 6/ North America % Latin America % United Kingdom % Europe dev % Europe emrg % Africa/Middle East % Australasia % Japan % Asia dev % Asia emrg % Attribution (Quarter) Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities Attribution Total Cash Bond Other Missing Performance Total Portfolio Weights Benchmark Weights Portfolio Benchmark Allocation Effect Selection Effect Active As of 9/30/ 35

37 Vanguard International Growth Inv VWIGX MSCI ACWI Ex USA NR USD US OE Foreign Large Growth Risk & Characteristics (5 Years) Risk & Illustration (5 Years) Time Period: 10/1/ to 9/30/ R2 Alpha Beta Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation Fund Index Time Period: 10/1/ to 9/30/ Vanguard International Growth Inv MSCI ACWI Ex USA NR USD Rolling s (3 Years) Rolling Risk (3 Years) Vanguard International Growth Inv MSCI ACWI Ex USA NR USD Vanguard International Growth Inv MSCI ACWI Ex USA NR USD Calendar Year s 2002 Rank 2003 Rank 2004 Rank 2005 Rank Rank Rank Rank Rank Rank Rank Vanguard International Growth Inv MSCI ACWI Ex USA NR USD As of 9/30/ 36

38 Appendix 37

39 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Glossary of Terms R-Squared (R2) A statistical measure of the percentage of a Fund s movements that can be explained by movements in an index benchmark. Values can range from 0 to 1 (0% to 100%). General Range for R-Squared: % = high explanatory value of the benchmark's returns 40-70% = average explanatory value of the benchmark's returns 0-40% = low explanatory value of the benchmark's returns Alpha A measure of performance on a risk-adjusted basis. The risk-adjusted performance is compared to that of a benchmark index and any excess return is Alpha. A positive Alpha of indicates the fund outperformed its benchmark by 1%. Beta A measure of a Fund s volatility, or systematic risk, compared to that of its benchmark. The Beta of the market (benchmark) is. General Range for Beta: A beta greater than indicates the Fund s returns are more volatile than the benchmark s A beta less than indicates the Fund s returns are less volatile than the benchmark s A beta of indicates the Fund will generate the same level of risk as the market Standard Deviation A statistical measurement of dispersion around an average, which represents how widely a Fund's returns varied over a specified time period. It is measured as the square root of variance. A Fund with a standard deviation of 19% and a mean return of 5% over 5 years indicates about 68% of the data values have ranged between -14% and 24% (within one standard deviation of the mean) and about 95% of the data values have ranged between -33% and 43% (within two standard deviations of the mean) Standard deviation is a representation of risk; higher standard deviation represents greater fluctuations in returns than lower standard deviation 38 As of September 30,

40 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Glossary of Terms Up Capture Ratio Measures a Fund's performance in up markets relative to a benchmark. A ratio greater than 100% indicates the Fund has outperformed the benchmark during periods of rising markets. Down Capture Ratio Measures a Fund's performance in down markets relative to a benchmark. A ratio greater than 100% indicates the Fund has underperformed the benchmark during periods of declining markets. Sharpe Ratio A risk-adjusted performance measure that is used to determine reward per unit of risk. The Sharpe Ratio is calculated by subtracting the risk-free rate from the return (historical or expected) of a portfolio and then dividing the result by the standard deviation of portfolio returns. It is used to standardize performance comparisons given different levels of risk employed across funds. Tracking Error Tracking error is the standard deviation of the differences between the Fund return and the benchmark return, i.e. the standard deviation of excess returns Tracking error is a measure of how benchmark-sensitive a Fund is Index funds generally have tracking error between 0 and 1.5% Benchmark-aware Funds generally have tracking error between 2% and 5% Benchmark-agnostic Funds generally have tracking error greater than 6% Information Ratio (IR) A risk-adjusted performance measure that calculates the ratio of excess return versus a benchmark divided by the Tracking Error. A higher IR indicates greater risk-adjusted returns and can be used as an indicator of consistency General Range for Information Ratio: -0.5 to 0.5 A Fund with Alpha of 0.5% and Tracking Error of 4% would have an Information Ratio of A Fund with Alpha of 1% and Tracking Error of 4% would have an Information Ratio of 0.25 A Fund with Alpha of 1% and Tracking Error of 8% would have an Information Ratio of Information ratios fall in a tight range and are negative if Alpha is negative. Information ratios > 0 indicate positive risk-adjusted performance, and information ratios > 0.25 indicate strong risk-adjusted performance 39 As of September 30,

41 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Glossary of Terms Correlation - A statistical measure of how two securities (fund and benchmark) move in relation to each other. Values can range from - to + Perfect positive correlation - A coefficient of +; implies a Fund and benchmark move in lockstep, up or down Perfect negative correlation A coefficient of -; implies a Fund and benchmark move perfectly oppositely, up or down Zero correlation A coefficient of 0; implies that movements between the Fund and benchmark are random and the change in value of one will have no impact in the change in value of the other 40 As of September 30,

42 Metropolitan St. Louis Sewer District Deferred Compensation Plan and Trust Disclaimer NEPC uses, as a data source, the plan s custodian bank or service provider for asset balances, calculation of accruals, transfers, exchanges and contribution deferral information. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within. This report is provided as a management aid for the client s internal use only. Fund performance contained in this report does not constitute a recommendation by NEPC. Information in this report on fund returns, market indices and security characteristics is received from sources external to NEPC. While efforts are made to ensure that this external data is accurate, NEPC cannot accept responsibility for errors that may occur. (c) Morningstar. All Rights Reserved. For institutional use only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past financial performance is no guarantee of future results. 41 As of September 30,